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Re: st: create data for frontier estimation
From
Federico Belotti <[email protected]>
To
[email protected]
Subject
Re: st: create data for frontier estimation
Date
Fri, 11 Oct 2013 10:10:17 +0200
clear all
set obs 10000
set seed 543210
gen x1 = rnormal(2)
gen x2 = rnormal(1)
gen x3 = rnormal(1)
gen lnsig2u = - 1.2 + 1.4 * x3
gen sigu = sqrt(exp(lnsig2u))
scalar sigv = 0.5
gen u = abs(rnormal(0, sigu))
gen v = rnormal(0,sigv)
gen y = 0.5 * x1 + 0.5 * x2 + 0.5 + v + u
summ, sep(0)
frontier y x1 x2, cost uhet(x3)
On Oct 11, 2013, at 9:14 AM, Cyrus Levy wrote:
> I'm trying to create a dataset using the true model specified below. The outcomes look good except the constant in lnsig2u. I am setting it to -1.2 in the program, but the estimation result is -0.197. I'm not sure what's wrong with the program. How can I fix this problem?
>
> drop _all
> set obs 10000
> set seed 543210
> gen x1 = rnormal(2)
> gen x2 = rnormal(1)
> gen x3 = rnormal(1)
>
> gen lnsig2u = 1.4 * x3 - 1.2
>
> gen sigu = sqrt(exp(lnsig2u))
> gen nsig = sqrt(sigu^2 / (1 - 2/_pi))
> gen u = abs(rnormal(0, nsig))
> gen v = rnormal()
>
> gen y = 0.5 * x1 + 0.5 * x2 + 0.5 + v + u
>
> summ, sep(0)
> frontier y x1 x2, cost uhet(x3)
>
>
>
> Stoc. frontier normal/half-normal model Number of obs = 10000
> Wald chi2(2) = 2656.28
> Log likelihood = -18811.039 Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> y |
> x1 | .515271 .0137709 37.42 0.000 .4882805 .5422616
> x2 | .4967352 .0137501 36.13 0.000 .4697854 .5236849
> _cons | .4736053 .0428721 11.05 0.000 .3895775 .557633
> -------------+----------------------------------------------------------------
> lnsig2v |
> _cons | -.0455195 .03432 -1.33 0.185 -.1127855 .0217464
> -------------+----------------------------------------------------------------
> lnsig2u |
> x3 | 1.407146 .0321241 43.80 0.000 1.344184 1.470108
> _cons | -.1970581 .0729905 -2.70 0.007 -.3401169 -.0539994
> -------------+----------------------------------------------------------------
> sigma_v | .9774973 .0167738 .9451679 1.010933
> ------------------------------------------------------------------------------
> *
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--
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: [email protected]
web: http://www.econometrics.it
*
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* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/